In this paper, we study the cryptocurrency pricing factors. We review the literatures which state that the cryptocurrency market is weakly efficient. We use the Fama–MacBeth method to investigate the pricing factors. The classical equity-based risk factors including size, momentum, and value to growth from the Fama–French three factor model are studied. We use crypto-unique coin-to-token as a proxy for value-to-growth. For volatility risk factor category, we investigate realized volatility, skewness and jump. We also investigate liquidity factors including bid–ask, volume growth and Roll’s measure. The macro factors are found not to be an explanatory factor. The attention factor works sometimes. The factor model constructed by the significant factors explain most of the excess return of cryptocurrencies.

中文翻译：

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加密货币的因子定价


在本文中，我们研究了加密货币的定价因素。我们回顾了表明加密货币市场弱有效的文献。我们使用 Fama-MacBeth 方法来调查定价因素。研究了 Fama-French 三因素模型中经典的基于股权的风险因素，包括规模、动量和增长价值。我们使用加密货币独特的代币作为价值增长的代理。对于波动性风险因素类别，我们研究已实现的波动性、偏度和跳跃。我们还调查流动性因素，包括买卖、交易量增长和罗尔衡量标准。宏观因素被发现不是解释因素。注意力因素有时会起作用。由显着因素构建的因素模型解释了加密货币的大部分超额收益。